Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0326
Annualized Std Dev 0.2469
Annualized Sharpe (Rf=0%) -0.1321

Row

Daily Return Statistics

Close
Observations 3463.0000
NAs 1.0000
Minimum -0.1261
Quartile 1 -0.0065
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0073
Maximum 0.1234
SE Mean 0.0003
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0156
Skewness -0.5830
Kurtosis 8.1252

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0105
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.7282
Historical VaR (95%) -0.0241
Historical ES (95%) -0.0392
Modified VaR (95%) -0.0255
Modified ES (95%) -0.0528
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.7282 3369 339 NA
2007-07-20 2007-08-16 2007-10-29 -0.1668 71 20 51
2007-06-22 2007-06-27 2007-07-02 -0.0182 7 4 3
2007-07-10 2007-07-10 2007-07-12 -0.0136 3 1 2
2007-10-30 2007-10-30 2007-10-31 -0.0128 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA -0.5 -1.9 2.3 1.5 -2.5 0.4 -1.3 -2.2
2008 2.7 -4.3 1.8 0.7 1.1 -1.9 -1 0 0.1 2.7 -8.2 3.2 -3.6
2009 -1.5 1.1 1.3 2.6 4.3 1.8 1.2 -2.8 -2.9 -3.8 3 -0.3 3.8
2010 2 0.8 1.6 -1.1 -1.8 1.1 0.1 3.8 0.9 0.1 2.5 0.6 10.9
2011 2.4 -1.9 0.9 0.1 -2.3 0.7 -1 -1.2 -3 -3.6 -0.9 0.1 -9.3
2012 1.2 1.4 1 0.8 -2.1 3.7 0.1 1.4 0.7 0.6 0.2 1.9 11.2
2013 1.2 -0.1 -0.6 -0.8 -2.5 0.3 0.6 -0.7 0.6 -0.4 -0.1 0.3 -2.2
2014 -1.5 0.5 0.5 -0.2 0 0.7 -0.6 -0.2 -1 0.7 -0.7 -0.9 -2.6
2015 -1.1 0.3 0.2 0.6 -0.8 0.3 0.1 -3 0.4 0.2 1.3 -0.9 -2.6
2016 0.1 2.7 -0.8 0.1 -0.4 0.5 -1.2 0.5 0.9 -0.1 0.5 -0.3 2.4
2017 0.2 0.8 0.4 0.4 0.9 -0.1 0.4 0.3 0.6 0 0 0.1 4.2
2018 0.7 -0.6 0.4 0 0.2 0.3 -0.8 -0.9 0 1.5 -0.5 0.3 0.4
2019 0.1 0.4 0.9 -0.6 -0.5 0.1 -0.2 0.3 -0.7 0.7 -0.7 0.5 0.3
2020 -1.2 -1.1 -4.7 -2.9 2.8 0.6 -1.6 -0.2 0.4 0 2 -0.9 -6.8
2021 1.2 1.9 0.2 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-06-18  50.2 SPY    153. -0.00120  0.0105   0.0105    0.0905    0.212    0.341    0.508 GLD    65.0  0.0015  3.90e-3
2 2007-06-19  50.6 SPY    153.  0.0025   0.0242   0.0043    0.0873    0.230    0.346    0.472 GLD    65.5  0.0082  2.15e-2
3 2007-06-20  50.2 SPY    151. -0.0139  -0.0049  -0.0092    0.0548    0.222    0.330    0.440 GLD    64.7 -0.0118  2.80e-3
4 2007-06-21  50.7 SPY    152.  0.0056  -0.00580 -0.00290   0.0615    0.225    0.343    0.482 GLD    64.6 -0.0023 -6.00e-4
5 2007-06-22  50.2 SPY    151. -0.0094  -0.0165  -0.0124    0.0499    0.204    0.323    0.488 GLD    64.8  0.0034 -1.10e-3
6 2007-06-25  50.4 SPY    150. -0.00480 -0.02    -0.0081    0.0463    0.204    0.306    0.509 GLD    64.4 -0.0054 -8.00e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart